Good book(s) for how to use MATLAB to model stock market volatility

Hi

I am new to MATLAB. I am using MATLAB to model stock market volatility time series. I need some help in finding good books that have MATLAB code that teach how to model volatility correctly. I need a few books that cover:

1. How to use MATLAB to perform econometric forecasts of stock market volatility
2. How to use MATLAB's machine learning / deep learning techniques to forecast volatility

Ideally, the books should have sample MATLAB code to problems that I can learn from.

There are so many books out there so I am having a hard time finding a good book to learn from. Any help you can offer is really appreciated.

Answer 1

[Sumukh]

Hi @Manny,

You can search for books based on MathWorks products in the following site:

https://www.mathworks.com/academia/books.html

I found these books on the website which you can refer to:

• Financial Modeling: Theory, Implementation and Practice with MATLAB Source: https://www.mathworks.com/academia/books/financial-modeling-kienitz.html
• An Introduction to Financial Option Valuation: Mathematics, Stochastics, and Computation: https://www.mathworks.com/academia/books/an-introduction-to-financial-option-valuation-higham.html
• Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and MATLAB: https://www.mathworks.com/academia/books/financial-risk-forecasting-danielsson.html
• This book contains a project on stock market prediction that can be helpful in understanding the deep learning techniques useful for financial markets: https://www.mathworks.com/academia/books/practical-matlab-deep-learning-paluszek.html

Additionally, you can refer to the following video resource from MathWorks explaining how to use MATLAB for calibration of volatility models in Finance:

https://www.mathworks.com/videos/using-matlab-for-real-measure-calibration-of-stochastic-volatility-models-in-finance-93018.html

I hope this answers your query.

[Manny]

Thank you @Sumukh. This is very helpful list. I appreciate your help!

[Sumukh]

@Manny, you can consider accepting this answer if you find it helpful.

[Manny]

@Sumukh. Thank you for the helpful list of books and reminder. I appreciate it very much.